Lévy models amenable to efficient calculations
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
us (code pays fourni par la source)
1 citation
Stochastic Processes and their Applications
Svetlana Boyarchenko
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158Publications signalées
1957Citations signalées
1Affiliations récentes
Les institutions déclarées
Les domaines associés
Stochastic processes and financial applicationsCapital Investment and Risk AnalysisEconomic theories and modelsFinancial Risk and Volatility ModelingComplex Systems and Time Series Analysis
Les publications récentes
Efficient evaluation of expectations of functions of a Lévy process and its extremum
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
us (code pays fourni par la source)
5 citations
Finance and Stochastics
Asymptotics of survival probabilities and lower tail probability problem
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
The present paper is an addendum to the paper ``Lévy models amenable to efficient calculations", where we introduced a general class of Stieltjes-Lévy processes (SL-processes) and signed SL processes defined in terms of certain Stieltjes-Lévy measures. We demonstrated that SL-processes enjoyed all …
0 citations
arXiv (Cornell University)
CORRECT IMPLIED VOLATILITY SHAPES AND RELIABLE PRICING IN THE ROUGH HESTON MODEL
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
us (code pays fourni par la source)
1 citation
SSRN Electronic Journal
ASYMPTOTICS OF SURVIVAL PROBABILITIES AND LOWER TAIL PROBABILITY PROBLEM
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
us (code pays fourni par la source)
0 citations
SSRN Electronic Journal
RETHINKING CLIMATE CHANGE MODELS: A DEATH BY A THOUSAND CUTS
us (code pays fourni par la source)
0 citations
SSRN Electronic Journal
TWO-CLOCK MODELS OF LEARNING AND NETWORK EFFECTS
us (code pays fourni par la source)
0 citations
SSRN Electronic Journal
FROM SUPERMODULAR TO SUBMODULAR: TRANSITION IN A STOPPING TIME GAME WITH LEARNING
Svetlana Boyarchenko, Dominika Machowska
us, pl (code pays fourni par la source)
0 citations
SSRN Electronic Journal
Efficient inverse $ Z $ -transform and pricing barrier and lookback options with discrete monitoring
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
We prove a simple general formula for the expectations of a function of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inverse $ Z $-transform, Fourier inversion, and Wiener-Hopf factorization, and discuss efficient numerical …
us (code pays fourni par la source)
1 citation
Frontiers of Mathematical Finance
Fast Reliable Pricing and Calibration of the Rough Heston Model
Svetlana Boyarchenko, Marco de Innocentis, Sergei Zakharovich Levendorskii
us, gb (code pays fourni par la source)
0 citations
SSRN Electronic Journal
Correct implied volatility shapes and reliable pricing in the rough Heston model
Svetlana Boyarchenko, Sergei Zakharovich Levendorskii
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorskiĭ, IJTAF 2019, v.22) to evaluate prices of vanilla options; for options of moderate and long maturities and strikes not very …
0 citations
RePEc: Research Papers in Economics
Supermodularity and incentive reversal in teams
Svetlana Boyarchenko, Dominika Machowska, Iryna Topolyan
us, pl (code pays fourni par la source)
6 citations
Games and Economic Behavior
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